There are various uses for proxies; when you're in China (or highschool), you can use a proxy to hide which websites you're visiting. Note however that you are NOT hiding the fact you use a proxy (the consequences of this depend on whether you're in China or highschool (and whether you get caught)...), only what you use the proxy for.
Also, the "amount" of hiding can be very limited. For instance, using Hide My Ass (which appears to be unable to handle WarLight, probably due to Flash) to visit WarLight.net will show the following line in any log which may or may not be collected:
Problem is, that gibberish-looking "Oi8vd2FybGlnaHQubmV0Lw%3D%3D" (or actually "Oi8vd2FybGlnaHQubmV0Lw==" after URL-decoding) screams "base64" to anyone with a little bit of computer science background. Base64 decoding it results in "://warlight.net/". Now, if your school is specifically blocking WL, they might not take kindly to you being a smartass and, since you are only hiding your actions well enough for the real-time blocking, not nearly enough for a human looking if there's anything weird in the log files, you might still get in trouble!
Note, other proxies may hide which websites you visit to a lesser or greater extent; the lesson here is: just because it looks like gibberish to you, does not mean it's gibberish to whoever runs the computers at your school. (Even if they don't know how to decode it, there's nothing stopping them from simply copy-pasting the address into a browser and see where they end up!)